Modeling loan commitments

Loan commitments represent more than 82 percent of all commercial and industrial loans by domestic banks. This paper develops a valuation model for loan commitments incorporating early exercise, multiple fees, partial exercise and credit risk. The model is analytically tractable and easy to implement. Using a sample of commercial paper backup credit lines from the Dealscan database, we show that our model prices closely match loan commitment market prices.     

“城市双修”理念下屋顶农场景观设计研究——以郑州58中学教学楼为例

“城市双修”的提出,促进了屋顶绿化的发展。将农业活动引入到校园建筑屋顶空间,增加城市的绿化率和人居空间环境的归属感,发挥积极的社会作用。通过实际案例对屋顶农场的概念、建设要求、设计及意义进行分析和说明。屋顶农场的建设,增加了学生们与大自然的亲密接触,丰富了课外活动,引导了学生们的自主学习和创新能力,还解决了生活中师生对部分食品的需求。通过案例研究,以期对城市建筑屋顶农场的推广有一定的促进作用。     

The influence of intraday seasonality on volatility transmission pattern

Using data on a five-minute interval basis, this article analyses the effects of intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences in the impulse response analysis and in the dynamic and directional measurement of volatility spillovers are encountered depending on whether the intraday periodic component is considered. Thus, the convenience of removing intraday seasonality seems to be critical to reduce the risk of spurious causality when employing high-frequency data in volatility transmission. Moreover, the impact of market microstructure noise seems negligible when using an optimal frequency of observations.     

空中庭院与半围合式住宅感知密度的关联性研究——以广州万科峯境为例

在半围合式城市住宅中,感知密度是居住体验的重要环节。空中庭院能够缓解高密度环境中的拥挤感,优化其空间形态,是改善环境感知的建构基础。使用虚拟现实技术进行密度感知实验,能探讨与空中庭院形态相关的视觉因素——可视性和绿视率对环境感知密度的影响。将广州万科峯境作为原型建立15组以可视性与绿视率为变量的实验模型,通过采集受试者对不同环境感知密度的主观评价,反映实验样本的空间特征,进而分析主观评价与客观量化之间的关联机制。分析结果表明：半围合式城市住宅空中庭院的可视性与绿视率是影响居住环境感知密度的重要因素;呈线状分布的、具有视觉层次性的空中庭院更受大众青睐。     

A Closed Form Formula for Valuing Mortgages

We develop a closed form formula for the value of a fixed-rate residential mortgage that includes the provision that the borrower can prepay at any time with no penalty. The value of the mortgage equals the expectation, under the risk neutral probability measure, of the future cash flows. We model future cash flows by estimating an empirical model of prepayment behavior. A second change of measure leads to a closed form expression for the expectation. The closed form values explain most of the time series variation in MBS prices. The closed form formula significantly shortens the time to calculate mortgage values and durations and can be a useful tool for portfolio management and hedging.     

Imperfect competition,functional forms,and the size and distribution of research benefits

The effects of functional forms for supply and demand on the size and distribution of the returns to research are examined under a range of forms of competition. Under perfect competition, the choice of functional form is relatively unimportant for the estimation of research benefits. Under imperfect competition, the combination of the choice of functional forms for supply and demand and the nature of the research-induced supply shift can have profound implications for the results. Functional form plays a much more important role than in the competitive model. The most important contrast is between the constant elasticity model and the linear model (along with various cases of a generalized linear model). These findings are illustrated using a combination of analytical results and numerical simulations.     

Modeling Mexican agricultural production

Results of time series tests (including unit root and deterministic and stochastic cointegration tests) imply that a mixture of differenced and cointegrated model specifications are warranted for econometric models of Mexican agricultural supplies and input demands. Test results are sensitive to choice of functional form and the set of regressors. For example, share equations should be estimated using differenced data, but output supply and input demand equations generally should not. Generalized Leontief and quadratic functional forms are preferred over the translog. Symmetry and curvature of a restricted profit function are rejected. Short-run output supplies and input demands are generally inelastic. First version received: February 1998/Final version received: November 1998     

Organizational form and environment: an analysis of between‐form and within‐form responses to environmental change

This study extends previous research on organizational adaptation to major environmental shifts by empirically examining the potential constraining effects of organizational form, operationalized using the Miles and Snow typology, on the type of responses enacted as well as the performance effects of the responses. Results indicate that a fit between environmental contingencies and organizational form relates to superior performance. The results also provide support for the idea that organizations systematically move toward the higher‐performing forms for a given environment. Consistent with organizational configuration logic, while these responses lead to performance improvements when a between‐form change is made, they do not necessarily lead to performance improvements when a within‐form change is made. Copyright © 2000 John Wiley & Sons, Ltd.     

组团式城市外部空间形态分形特征研究

定量研究城市外部空间形态是城市建设与规划的重要环节。文章应用分形原理和方法以及GIS技术定量研究了无规则、具有自相似性的城市外部空间形态,以武汉市为例分析了多核心组团式城市空间形态分形特征,以及武汉市50年间的分维演变规律,并分析了不同阶段城市分维值变化的原因以及城市扩展的方式,最后提出采用多理论、多技术手段综合集成的方法是未来深入研究城市空间形态的重要途径。     

线性文化遗产的特征及其对旅游利用模式的影响——基于《世界遗产名录》的统计分析

线性文化遗产是一种特殊的遗产类型,随着人们对遗产完整性不断深入的理解以及遗产活化利用理念的发展,线性文化遗产旅游的重要性日益显现。因此,树立线性文化遗产意识,把握线性文化遗产特征,是推进线性文化遗产旅游利用和可持续发展的重要问题。本文以《世界遗产名录》中收录的线性文化遗产为基础数据,对线性文化遗产的类别与列入标准、资源组合模式和核心区与缓冲区等典型特征进行深入分析,并从旅游空间演化和旅游活化路径两方面总结其对旅游利用模式的影响,以期为线性文化遗产旅游的可持续发展提供科学参考。研究结果表明,线性文化遗产旅游空间结构发展过程遵循“增长极”演化规律,并在遗产文化分层上表现出不同的利用方式和活化路径。